Remark 3.1 
We notice that, different from the continuous martingale “dW term" \(z_t^1\) , \(\tilde{\Delta }(t)=0\) , that is \(\tilde{z}_{(t,e)}^1=\tilde{z}_{(t,e)}^{1^{\prime }}\)  which means the “jump term" in the first order variation has no change. Indeed, inspired by [1]} (or [2]}), the diffusion term of the first order variational equation of \(x\)  should include the term \(\delta \sigma (t)\mathbb {1}_{[\bar{t},\bar{t}+\epsilon ]}\) , so it is natural to guess another form of \(z_t^1\)  in (REF ). However, considering the first order variational equation of \(x\)  in our paper, motivated by the new variation technique in [3]}, the “jump term" does not include the similar term \(``\delta f(t,e)\mathbb {1}_{\mathcal {O}}"\) . Therefore, the form of \(\tilde{z}_{(t,e)}^1\)  has no need to change like \(z_t^1\)  in heuristic derivation, which has been checked in the above discussion.

